FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1507860989> ?p ?o ?g. }

• W1507860989 abstract "This paper explores the conceptual background to financial time series analysis and financial signal processing in terms of the Efficient Market Hypothesis. By revisiting the principal conventional approaches to market analysis and the reasoning associated with them, we develop a Fractal Market Hypothesis that is based on the application of non-stationary fractional dynamics using an operator of the type ∂ ∂x2 − σ ∂ q(t) ∂tq(t) where σ−1 is the fractional diffusivity and q is the Fourier dimension which, for the topology considered, (i.e. the onedimensional case) is related to the Fractal Dimension 1 < DF < 2 by q = 1−DF + 3/2. We consider an approach that is based on the signal q(t) and its interpretation, including its use as a macroeconomic volatility index. In practice, this is based on the application of a moving window data processor that utilises Orthogonal Linear Regression to compute q from the power spectrum of the windowed data. This is applied to FTSE close-of-day data between 1980 and 2007 which reveals plausible correlations between the behaviour of this market over the period considered and the amplitude fluctuations of q(t) in terms of a macroeconomic model that is compounded in the operator above." @default.
• W1507860989 created "2016-06-24" @default.
• W1507860989 creator A5019970245 @default.
• W1507860989 date "2008-01-01" @default.
• W1507860989 modified "2023-09-23" @default.
• W1507860989 title "Application of the Fractal Market Hypothesis for Modelling Macroeconomic Time Series" @default.
• W1507860989 cites W1548486839 @default.
• W1507860989 cites W1898724844 @default.
• W1507860989 cites W1966382640 @default.
• W1507860989 cites W1990351499 @default.
• W1507860989 cites W2013638083 @default.
• W1507860989 cites W2030332015 @default.
• W1507860989 cites W2032231305 @default.
• W1507860989 cites W2041616689 @default.
• W1507860989 cites W2044298381 @default.
• W1507860989 cites W2044793768 @default.
• W1507860989 cites W2046898218 @default.
• W1507860989 cites W2050453700 @default.
• W1507860989 cites W2054674045 @default.
• W1507860989 cites W2056821613 @default.
• W1507860989 cites W2077791698 @default.
• W1507860989 cites W2078206416 @default.
• W1507860989 cites W2090637028 @default.
• W1507860989 cites W2115755118 @default.
• W1507860989 cites W2131773668 @default.
• W1507860989 cites W2307064978 @default.
• W1507860989 cites W2317431009 @default.
• W1507860989 cites W2318840319 @default.
• W1507860989 cites W2337958348 @default.
• W1507860989 cites W2341760625 @default.
• W1507860989 cites W2478227765 @default.
• W1507860989 cites W2602853776 @default.
• W1507860989 cites W431443358 @default.
• W1507860989 cites W627553917 @default.
• W1507860989 cites W632584736 @default.
• W1507860989 doi "https://doi.org/10.21427/d7091p" @default.
• W1507860989 hasPublicationYear "2008" @default.
• W1507860989 type Work @default.
• W1507860989 sameAs 1507860989 @default.
• W1507860989 citedByCount "5" @default.
• W1507860989 countsByYear W15078609892012 @default.
• W1507860989 countsByYear W15078609892013 @default.
• W1507860989 countsByYear W15078609892014 @default.
• W1507860989 countsByYear W15078609892015 @default.
• W1507860989 countsByYear W15078609892019 @default.
• W1507860989 crossrefType "journal-article" @default.
• W1507860989 hasAuthorship W1507860989A5019970245 @default.
• W1507860989 hasConcept C10138342 @default.
• W1507860989 hasConcept C104317684 @default.
• W1507860989 hasConcept C105795698 @default.
• W1507860989 hasConcept C110601934 @default.
• W1507860989 hasConcept C121332964 @default.
• W1507860989 hasConcept C121864883 @default.
• W1507860989 hasConcept C134306372 @default.
• W1507860989 hasConcept C143724316 @default.
• W1507860989 hasConcept C149782125 @default.
• W1507860989 hasConcept C151406439 @default.
• W1507860989 hasConcept C151730666 @default.
• W1507860989 hasConcept C158448853 @default.
• W1507860989 hasConcept C162324750 @default.
• W1507860989 hasConcept C17020691 @default.
• W1507860989 hasConcept C185592680 @default.
• W1507860989 hasConcept C19244329 @default.
• W1507860989 hasConcept C202444582 @default.
• W1507860989 hasConcept C26546657 @default.
• W1507860989 hasConcept C33676613 @default.
• W1507860989 hasConcept C33923547 @default.
• W1507860989 hasConcept C40636538 @default.
• W1507860989 hasConcept C55493867 @default.
• W1507860989 hasConcept C86339819 @default.
• W1507860989 hasConcept C86803240 @default.
• W1507860989 hasConcept C91602232 @default.
• W1507860989 hasConceptScore W1507860989C10138342 @default.
• W1507860989 hasConceptScore W1507860989C104317684 @default.
• W1507860989 hasConceptScore W1507860989C105795698 @default.
• W1507860989 hasConceptScore W1507860989C110601934 @default.
• W1507860989 hasConceptScore W1507860989C121332964 @default.
• W1507860989 hasConceptScore W1507860989C121864883 @default.
• W1507860989 hasConceptScore W1507860989C134306372 @default.
• W1507860989 hasConceptScore W1507860989C143724316 @default.
• W1507860989 hasConceptScore W1507860989C149782125 @default.
• W1507860989 hasConceptScore W1507860989C151406439 @default.
• W1507860989 hasConceptScore W1507860989C151730666 @default.
• W1507860989 hasConceptScore W1507860989C158448853 @default.
• W1507860989 hasConceptScore W1507860989C162324750 @default.
• W1507860989 hasConceptScore W1507860989C17020691 @default.
• W1507860989 hasConceptScore W1507860989C185592680 @default.
• W1507860989 hasConceptScore W1507860989C19244329 @default.
• W1507860989 hasConceptScore W1507860989C202444582 @default.
• W1507860989 hasConceptScore W1507860989C26546657 @default.
• W1507860989 hasConceptScore W1507860989C33676613 @default.
• W1507860989 hasConceptScore W1507860989C33923547 @default.
• W1507860989 hasConceptScore W1507860989C40636538 @default.
• W1507860989 hasConceptScore W1507860989C55493867 @default.
• W1507860989 hasConceptScore W1507860989C86339819 @default.
• W1507860989 hasConceptScore W1507860989C86803240 @default.
• W1507860989 hasConceptScore W1507860989C91602232 @default.
• W1507860989 hasLocation W15078609891 @default.
• W1507860989 hasOpenAccess W1507860989 @default.
• W1507860989 hasPrimaryLocation W15078609891 @default.

• next